How to run a Breusch-Godfrey test to test for covariance between residuals?
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Hey dear community!
I struggle to find a way how to run a Breusch-Godfrey test in Matlab to test for autocorrelation (possibly to tenth-order autocorrelation). Assumption to be tested of course is that covariance between residuals is always 0.
Do you have any idea how to do it or implement it on Matlab?
Would be great, thanks and have a nice week!